Bethesda should really do something about the player's immortality to inject some sense of danger. Being able to quick save every couple of seconds and then just carry on after death with no consequences dampens the alarm at being suddenly confronted by a potentially lethal situation. Player's have to manufacture their own 'dead is dead' rules to add urgency.
Mount & Blade handles this well. The player never 'dies', you're just knocked unconscious, captured, dragged around the map for a few days, before 'escaping' at a random location with some of your gear and money missing. It means you put extra effort into stopping your health bar hitting zero, because 'death' has consequences. Companions are also immortal, but if they go down they can be out of action for a few days while they heal up. A system similar to that could really heighten the tension.